Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0021
Annualized Std Dev 0.1477
Annualized Sharpe (Rf=0%) -0.0143

Row

Daily Return Statistics

Close
Observations 2891.0000
NAs 1.0000
Minimum -0.1652
Quartile 1 -0.0042
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0042
Maximum 0.1080
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0093
Skewness -1.2878
Kurtosis 45.7301

Downside Risk

Close
Semi Deviation 0.0067
Gain Deviation 0.0069
Loss Deviation 0.0075
Downside Deviation (MAR=210%) 0.0119
Downside Deviation (Rf=0%) 0.0067
Downside Deviation (0%) 0.0067
Maximum Drawdown 0.3413
Historical VaR (95%) -0.0125
Historical ES (95%) -0.0201
Modified VaR (95%) -0.0098
Modified ES (95%) -0.0098
From Trough To Depth Length To Trough Recovery
2016-06-17 2020-03-18 NA -0.3413 1105 886 NA
2012-11-29 2013-12-16 2016-06-10 -0.2067 882 264 618
2010-08-31 2011-01-14 2012-05-10 -0.1847 427 96 331
2009-04-29 2009-06-24 2009-10-12 -0.1300 115 39 76
2012-07-30 2012-08-27 2012-09-25 -0.0595 41 21 20

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA -0.3 0.7 1.5 0 0.1 0.9 -0.6 1.4 -0.1 3.6
2010 0.5 0.3 0.3 1.6 0 0.3 -0.5 0.3 0.5 0.1 0.5 1.6 5.6
2011 0.3 0.8 2.4 0.1 0.3 0 1.1 0.4 0.1 0.8 0 0 6.3
2012 0.6 -0.8 0.3 0.6 -0.8 -0.1 -0.9 0.4 0.2 0.3 0.3 -0.2 -0.1
2013 0.5 0.7 0.4 0.1 -2.7 0.9 0.1 0.5 -0.5 -0.5 0.7 0.1 0.1
2014 1 -1.1 0.3 0.4 -0.1 -0.2 1 0.4 -0.3 0.2 0 0.8 2.4
2015 0.2 0 0.9 -0.1 -0.1 -0.6 0.5 0.6 0.5 -0.3 -0.4 -0.2 1
2016 1.5 -1 -1 0.9 0.5 3 0 -0.6 -0.9 0.9 -0.2 -0.3 2.9
2017 -1.8 -0.9 3 0.1 0.2 0.7 0.2 -0.3 -0.1 0.5 0.1 -0.2 1.7
2018 0.7 -0.5 0.5 0.1 0.1 -0.8 -1 0 0.3 -1.1 1 0 -0.7
2019 0.1 1.5 1 -0.5 0.7 0.2 -0.1 0 1.9 -0.2 1.2 -0.5 5.4
2020 -0.1 0.8 -4.3 -1.5 2.8 0.4 -1.8 1.1 0.1 -1 0.4 0.4 -2.9
2021 0.1 0.1 0.4 NA NA NA NA NA NA NA NA NA 0.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-04-28  15   SPY    85.6 -3.10e-3   0.006    0.0485   0.0123   -0.387   -0.344   -0.251 GLD    87.8 -0.0142   0.0099
2 2009-04-29  14.8 SPY    87.4  2.13e-2   0.0337   0.109    0        -0.372   -0.333   -0.235 GLD    88.3  0.0066   0.0109
3 2009-04-30  14.8 SPY    87.4  3.00e-4   0.024    0.0993   0.0339   -0.368   -0.335   -0.225 GLD    87.3 -0.012   -0.0172
4 2009-05-01  14.8 SPY    87.9  5.40e-3   0.0142   0.0843   0.0611   -0.377   -0.326   -0.214 GLD    87.0 -0.0037  -0.0309
5 2009-05-04  14.7 SPY    90.9  3.40e-2   0.0587   0.0893   0.100    -0.358   -0.308   -0.181 GLD    88.6  0.0194  -0.0042
6 2009-05-05  14.6 SPY    90.6 -3.40e-3   0.0584   0.0749   0.0816   -0.357   -0.308   -0.192 GLD    88.2 -0.0044   0.0057
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart